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Date/Time: Sun, 28 Apr 2024 12:20:34 +0000

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Post From: GetBidMarketLimitOrdersForPrice

[2022-02-14 00:04:49]
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2)Cant we get the order id from Time and sales data ?

No, the s_TimeAndSales structure in "ACS_Source\scstructures.h" only has following fields. I don't have MBO data so I can't contribute to question 1. Good luck.


struct s_TimeAndSales
{
  SCDateTimeMS DateTime;
  float Price;
  uint32_t Volume;
  float Bid;
  float Ask;
  uint32_t BidSize;
  uint32_t AskSize;

  //This will always be a value >= 1. It is unlikely to wrap around, but it could. It will never be 0.
  uint32_t Sequence;

  int16_t UnbundledTradeIndicator;
  int16_t Type;
  uint32_t TotalBidDepth;
  uint32_t TotalAskDepth;

}